Treasury Bill 26-Week Term Structure Files – Daily and Monthly

The 26-Week Term Structure Files are calculated in three alternative ways using the:

  • Nominal Price (Average of the bid and ask quotes)
  • Bid quotes
  • Ask quotes

There are 26 new series. The 1-week series is TREASNOX 2000064, the 2-week series is TREASNOX 2000065 through the 26-week series which is TREASNOX 2000089.

Data items are derived using regular cycle 26-week bills. These bills have Thursday maturities, unless Thursday is a holiday, and then it is a Friday maturity. A bill is selected on Thursday with 26-weeks to maturity and then used through the following Wednesday. On the next Thursday, it becomes the 25-week bill, and a new 26-week bill is selected and this process repeated for each series. For example, on Thursday July 1, 2010, the 26-week series (TREASNOX 2000089) selects the bill that matured on Thursday 12/30/2010. On July 8, the 12/30/2010 bill is used for the 25-week series (TREASNOX 2000088), and a new 26-week bill is selected; the one that matures on 1/6/2011.

Computation of the Fields

The calculations of items that follow use items from the daily series. The monthly series are simply the month-end values of the daily series.

  • TDBID, TDASK, and TDNOMPRC: P(t,w)=The price (could be bid, ask, or nomprc) on day t for a bill maturing in w weeks.
  • TDDURATN: N(t,w)=The number of days to maturity on day t for a bill maturing in w weeks.
  • TDBIDYLD, TDASKYLD, and TDYLD:  This is the daily continuously compounded yield to maturity on day t for a bill maturing in w weeks.
  • TDBIDFWD1, TDBIDFWD4, TDASKFWD1, TDASKFWD4, TDAVEFWD1, TDAVEFWD4:  is the formula used for calculating the forward rate for tau offset of both 1-week and 4-weeks. For convenience, the denominators (N(t,w)— N(t,w-τ)) are stored in the TDDURFWD1 and TDDURFWD4 variables.
  • TDBIDHLD1, TDBIDHLD4, TDASKHLD1, TDASKHLD4, TDAVEHLD1, TDAVEHLD4:  is the formula used for calculating the forward rate for tau offset of both 1-week and 4-weeks. For convenience, the denominators (N(t,w)- N(t+τ,w-τ)) are stored in the TDDURHLD1 and TDDURHLD4 variables.

Missing Values

Unlike the legacy monthly- only series, the new term structure series has significantly more missing values. The 1-week series (TREASNOX 2000064) contains no 1-week or 4-week forward rates or 1-week or 4-week holding period returns, because price for the comparison bill cannot exist. Similarly, the 2-week series (2000065), 3-week series (2000066), and 4-week series (2000067) contain no 4-week forward rates or 4-week holding period returns.

At the beginning of the series, the 26-week series (TREASNOX 2000089) starts on 6/15/1961, the 25-week series (2000088) a week later, etc. and the 1-week series (2000064) begins on 12/7/1961. So full data for all series is not available until roughly 1/1/1962. At the end of the series, the holding period returns are not available, because the comparison price is beyond the last available date for prices in the data.

The market closures around 9/11 also introduce missing values in the daily series that are not in the monthly series.

TRZ_DLY_TS2.* - DAILY 26-WEEK TERM STRUCTURE

Column Name Description Format Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNOX See mappings below 9d 9d      
CALDT Quotation Date 8d 8d      
RDTREASNO Daily Series of Related TREASNOs 8d 8d      
RDTREASNO_FLG Reference Treasno Flag 1c 1c      
RDCRSPID Daily Series of Related CRSPIDs 16s 16s      
RDCRSPID_FLG Reference CRSPID Flag 1c 1c      
TDBID Daily Bid 11.6lf 20.12e (blank) (blank) (.)
TDASK Daily Ask 11.6lf 20.12e (blank) (blank) (.)
TDNOMPRC Daily Nominal Price 11.6lf 20.12e (blank) (blank) (.)
TDBIDYLD Month-Adjusted Bid Yield 11.6lf 20.12e (blank) (blank) (.)
TDASKYLD Month-Adjusted Ask Yield 11.6lf 20.12e (blank) (blank) (.)
TDYLD Daily Series of Promised Daily Yield 12.8lf 20.12e (blank) (blank) (.)
TDDURATN Daily Series of Macaulay’s Duration 6.1lf 20.12e (blank) (blank) (.)
TDBIDFWD1 1-week forward bid rate 12.8lf 20.12e (blank) (blank) (.)
TDASKFWD1 1-week forward ask rate 12.8lf 20.12e (blank) (blank) (.)
TDAVEFWD1 1-week forward nomprc rate 12.8lf 20.12e (blank) (blank) (.)
TDDURFWD1 Days used for 1-week forward rate 6.1lf 20.12e (blank) (blank) (.)
TDBIDFWD4 4-week forward bid rate 12.8lf 20.12e (blank) (blank) (.)
TDASKFWD4 4-week forward ask rate 12.8lf 20.12e (blank) (blank) (.)
TDAVEFWD4 4-week forward nomprc rate 12.8lf 20.12e (blank) (blank) (.)
TDDURFWD4 Days used for 4-week forward rate 6.1lf 20.12e (blank) (blank) (.)
TDBIDHLD1 1-week bid holding return 12.8lf 20.12e (blank) (blank) (.)
TDASKHLD1 1-week ask holding return 12.8lf 20.12e (blank) (blank) (.)
TDAVEHLD1 1-week nomprc holding return 12.8lf 20.12e (blank) (blank) (.)
TDDURHLD1 Days used for 1-week holding return 6.1lf 20.12e (blank) (blank) (.)
TDBIDHLD4 4-week bid holding return 12.8lf 20.12e (blank) (blank) (.)
TDASKHLD4 4-week ask holding return 12.8lf 20.12e (blank) (blank) (.)
TDAVEHLD4 4-week nomprc holding return 12.8lf 20.12e (blank) (blank) (.)
TDDURHLD4 Days used for 4-week holding return 6.1lf 20.12e (blank) (blank) (.)
Mappings TREASNOX 2000064 (1-week series), 2000065 (2-week) . . .2000088 (25-week), 2000089 (26-weeK)

TRZ_MTH_TS2.* - MONTHLY 26-WEEK TERM STRUCTURE

Column Name Description Format Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNOX See mappings below 9d 9d      
CALDT Last Quotation Date in the Month 8d 8d      
RMTREASNO Monthly Series of Related TREASNOs 8d 8d      
RMTREASNO_FLG Reference Treasno Flag 1c 1c      
RMCRSPID Monthly Series of Related CRSPIDs 16s 16s      
RMCRSPID_FLG Reference CRSPID Flag 1c 1c      
TMBID Monthly Bid 11.6lf 20.12e (blank) (blank) (.)
TMASK Monthly Ask 11.6lf 20.12e (blank) (blank) (.)
TMNOMPRC Monthly Nominal Price 11.6lf 20.12e (blank) (blank) (.)
TMBIDYLD Month-Adjusted Bid Yield 11.6lf 20.12e (blank) (blank) (.)
TMASKYLD Month-Adjusted Ask Yield 11.6lf 20.12e (blank) (blank) (.)
TMYLD Monthly Series of Promised Daily Yield 12.8lf 20.12e (blank) (blank) (.)
TMDURATN Monthly Series of Macaulay’s Duration 6.1lf 20.12e (blank) (blank) (.)
TMBIDFWD1 1-week forward bid rate 12.8lf 20.12e (blank) (blank) (.)
TMASKFWD1 1-week forward ask rate 12.8lf 20.12e (blank) (blank) (.)
TMAVEFWD1 1-week forward nomprc rate 12.8lf 20.12e (blank) (blank) (.)
TMDURFWD1 Days used for 1-week forward rate 6.1lf 20.12e (blank) (blank) (.)
TMBIDFWD4 4-week forward bid rate 12.8lf 20.12e (blank) (blank) (.)
TMASKFWD4 4-week forward ask rate 12.8lf 20.12e (blank) (blank) (.)
TMAVEFWD4 4-week forward nomprc rate 12.8lf 20.12e (blank) (blank) (.)
TMDURFWD4 Days used for 4-week forward rate 6.1lf 20.12e (blank) (blank) (.)
TMBIDHLD1 1-week bid holding return 12.8lf 20.12e (blank) (blank) (.)
TMASKHLD1 Monthly 1-week ask holding return 12.8lf 20.12e (blank) (blank) (.)
TMAVEHLD1 1-week nomprc holding return 12.8lf 20.12e (blank) (blank) (.)
TMDURHLD1 Days used for 1-week holding return 6.1lf 20.12e (blank) (blank) (.)
TMBIDHLD4 4-week bid holding return 12.8lf 20.12e (blank) (blank) (.)
TMASKHLD4 4-week ask holding return 12.8lf 20.12e (blank) (blank) (.)
TMAVEHLD4 4-week nomprc holding return 12.8lf 20.12e (blank) (blank) (.)
TMDURHLD4 Days used for 4-week holding return 6.1lf 20.12e (blank) (blank) (.)
Mappings TREASNOX 2000064 (1-week series), 2000065 (2-week) . . .2000088 (25-week), 2000089 (26-week)